Fiscal policy and asset markets: a semiparametric analysis

DOI10.1016/J.JECONOM.2008.09.007MaRDI QIDQ299268zbMATH OpenOpenAlexFDO

Authors Dennis W. Jansen, Zijun Wang, Jian Yang, Qi Li

Publication date 22 June 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2008.09.007

zbMATH Keywords

semiparametric estimationmonetary policyfiscal deficitsstock market

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cites work

• scientific article; zbMATH DE number 4073644 (Why is no real title available?)
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• Consistent model specification tests for time series econometric models
• Debt-contingent inflation contracts and targets
• Functional-Coefficient Regression Models for Nonlinear Time Series
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• Maximum likelihood and the bootstrap for nonlinear dynamic models
• Nonparametric Identification of Nonlinear Time Series: Selecting Significant Lags
• Root-N-Consistent Semiparametric Regression
• Semiparametric Non-Linear Time Series Model Selection
• Smoothing Parameter Selection in Nonparametric Regression Using an Improved Akaike Information Criterion
• The Case for Restricting Fiscal Policy Discretion

Cited in

(5)

• Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets
• An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
• Fiscal policy, monetary policy and the efficiency of the stock market
• Operational aspect of the policy coordination for financial stability: role of Jeffreys-Lindley's paradox in operations research
• Fiscal episodes and market power

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